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Institute for Economies in Transition, Bank of Finland BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland

No 4/2000:
Econometric Analysis of Currency Substitution: A Case of Latvia

Vadims Sarajevs ()

Abstract: The paper provides a comprehensive econometric analysis of currency substitution for Latvia. Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to empirical analysis of the phenomenon, direct modelling of currency substitution ratio is ap-plied. Extensive model construction, estimation, evaluation and testing are per-formed. Methodological issues are also discussed. No simple policy recommenda-tions can be made at this stage of research, but a number of instruments are identi-fied, which can be used by the authorities to influence currency substitution behaviour.

Keywords: currency substitution; exogeneity; unit roots; causality; cointegration; parameter constancy; (follow links to similar papers)

98 pages, May 20, 2000

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